The Scarlets began this season's continental adventure in fine fashion when an opening week win over Castres was followed by a stunning success at last year's Heineken Cup finalists Northampton. But back-to-back defeats to double European Champions Munster and a home loss to the Saints ended their Heineken Cup hopes.
A morale-boosting triumph at Castres Olympique secured a place in eth Amlin last eight but Sunday's revese left Davies particularly frustrated.
"There's been some highs in Europe this year but, overall, it's been disappointing because we should have got more from it," said Davies.
"We've got a quality group of players who we've developed and it was key that we succeeded and did something this year. Unfortunately, we haven't been able to do that in the Heineken or the Amlin.
"It probably shows where we've got to in that we're devastated not to have picked up a result.
"We travelled with high expectations, and rightly so…but we're talking about crossing the line. Over the past couple of years we've gained that experience, we've been competitive but we haven't got those key results. That's what we need to be focussing on. This was a key game for us but we came second best by a long way."
Despite a hugely difficult build up following the death of Roy Newton, the father of Scarlets full back Dan, Davies insisted there were no excuses for missing out on a first European semi-final for five years.
The former Wales midfielder pointed to problems at the setpiece and the breakdown as the primary cause of their quarter-final exit and admitted improvements will need to be made in those areas ahead of next season's Heineken Cup adventure.
"It was a tough week but that had nothing to do with the performance. The boys were eager to do well for that reason and the one thing they did show was plenty of commitment and effort," added Davies.
"It was quite clear why we didn't win: our setpiece wasn't good enough. It was under a lot of pressure and it didn't give us a platform to play off. We also came second best in the contact area and when we did get any sort of momentum going forward, they invariably turned us over.
"Our setpiece hasn't been where it needs to be this season. There's been moments when it's been reasonable but it needs to be consistently good, particularly at this level of rugby. That's a challenge now for us moving forward."